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A Benchmark Approach to Quantitative Finance (Springer Finance)

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A Benchmark Approach to Quantitative Finance (Springer Finance) Cover

 

Synopses & Reviews

Publisher Comments:

The benchmark approach provides a general framework for financial market modeling, which extends beyond the standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. The existence of an equivalent risk-neutral pricing measure is not required. Instead, it leads to pricing formulae with respect to the real world probability measure. This yields important modeling freedom which turns out to be necessary for the derivation of realistic, parsimonious market models. The first part of the book describes the necessary tools from probability theory, statistics, stochastic calculus and the theory of stochastic differential equations with jumps. The second part is devoted to financial modeling under the benchmark approach. Various quantitative methods for the fair pricing and hedging of derivatives are explained. The general framework is used to provide an understanding of the nature of stochastic volatility. The book is intended for a wide audience that includes quantitative analysts, postgraduate students and practitioners in finance, economics and insurance. It aims to be a self-contained, accessible but mathematically rigorous introduction to quantitative finance for readers that have a reasonable mathematical or quantitative background. Finally, the book should stimulate interest in the benchmark approach by describing some of its power and wide applicability.

Synopsis:

A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.

About the Author

Professor Eckhard Platen is a joint appointment between the School of Finance and Economics and the Department of Mathematical Sciences to the 1997 created Chair in Quantitative Finance at the University of Technology Sydney. Prior to this appointment he was Founding Head of the Centre for Financial Mathematics at the Institute of Advanced Studies at the Australian National University in Canberra. He completed a PhD in Mathematics at the Technical University in Dresden in 1975 and obtained in 1985 his Dr. sc. from the Academy of Sciences in Berlin, where he headed at the Weierstrass Institute the Sector of Stochastics. He is co-author of two successful books on Numerical Methods for Stochastic Differential Equations, published by Springer Verlag, and has authored more than 100 research papers in quantitative finance and mathematics. Dr David Heath works as a Senior Research Fellow in Quantitative Finance at the University of Technology, Sydney.

Table of Contents

Preliminaries.- Statistical Methods.- Modeling via Stochastic Processes.- Diffusion Processes.- Martingales and Stochastic Integrals.- The Ito Integral or Stochastic Chain Rule.- Stochastic Differential Equations.- Continuous Benchmark Models.- Introduction to Option Pricing.- Various Approaches to Asset Pricing.- Numerical Methods for Derivatives Pricing.- Pricing of Derivatives.- Benchmark Models with Jumps.

Product Details

ISBN:
9783540262121
Author:
Platen, Eckhard
Publisher:
Springer
Author:
Heath, David
Location:
Berlin, Heidelberg
Subject:
Finance
Subject:
Statistics
Subject:
Probability & Statistics - General
Subject:
Quantitative Finance
Subject:
Benchmark approach
Subject:
Financial market modeling
Subject:
MSC (2000): 90A12, 60G30, 62P20
Subject:
Mathematical finance
Subject:
Minimal market model
Subject:
Probability Theory and Stochastic Processes
Subject:
Statistics for Business/Economics/Mathematical Finance/Insurance <P>The benchmark approach is a framework for financial market modeling that extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, der
Subject:
Business-Accounting and Finance
Subject:
Game Theory
Subject:
Statistics for Business/Economics/Mathematical Finance/Insurance
Subject:
Applied
Subject:
Mathematics
Subject:
B
Subject:
mathematics and statistics
Subject:
Distribution (Probability theory)
Subject:
Economics_xStatistics
Copyright:
Edition Number:
1
Edition Description:
1st ed. 2006. Corr. 2nd printing 2010
Series:
Springer Finance
Publication Date:
January 2007
Binding:
HARDCOVER
Language:
English
Illustrations:
Y
Pages:
716
Dimensions:
235 x 155 mm

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A Benchmark Approach to Quantitative Finance (Springer Finance) New Hardcover
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Product details 716 pages Springer - English 9783540262121 Reviews:
"Synopsis" by , A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.
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